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Direct and inverse source problems of a fractional diffusion equation with regularized Caputo-like counterpart hyper-Bessel operator are considered. Solutions to these problems are constructed based on appropriate eigenfunction expansion…
In this paper, the boundary element method is combined with Chebyshev operational matrix technique to solve two-dimensional multi-order time-fractional partial differential equations; nonlinear and linear in respect to spatial and temporal…
In this paper we present in one-dimensional space a numerical solution of a partial differential equation of fractional order. This equation describes a process of anomalous diffusion. The process arises from the interactions within the…
This paper presents a space-time interface-fitted finite element method for solving a parabolic advection-diffusion problem with a nonstationary interface. The jumping diffusion coefficient gives rise to the discontinuity of the solution…
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…
We consider boundary value problems with Riemann-Liouville fractional derivatives of order $s\in (1, 2)$ with non-constant diffusion and reaction coefficients. A variational formulation is derived and analyzed leading to the well-posedness…
This paper proposes a numerical upscaling procedure for elliptic boundary value problems with diffusion tensors that vary randomly on small scales. The resulting effective deterministic model is given through a quasilocal discrete integral…
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
We give a new proof of the fact that the value function of the finite time horizon American put option for a jump diffusion, when the jumps are from a compound Poisson process, is the classical solution of a free boundary equation. We also…
Boundary integral methods are attractive for solving homogeneous linear constant coefficient elliptic partial differential equations on complex geometries, since they can offer accurate solutions with a computational cost that is linear or…
We propose finite difference methods for degenerate fully nonlinear elliptic equations and prove the convergence of the schemes. Our focus is on the pure equation and a related free boundary problem of transmission type. The cornerstone of…
We obtain uniform in time bounds for the solutions to a class of thermo-diffusive systems with classical and fractional diffusions. In the classical diffusion case, the nonlinearities are assumed to be at most exponentially growing, while…
This article shows how to develop an efficient solver for a stabilized numerical space-time formulation of the advection-dominated diffusion transient equation. At the discrete space-time level, we approximate the solution by using…
We present a new method for the approximate solution of the strongly coupled, nonlinear stress-diffusion problem that appears when modeling hydrogen transport in metals. The most salient feature of the proposed approximation is that it is…
In this paper we study the existence, the optimal regularity of solutions, and the regularity of the free boundary near the so-called \emph{regular points} in a thin obstacle problem that arises as the local extension of the obstacle…
By exploiting a suitable Trudinger-Moser inequality for fractional Sobolev spaces, we obtain existence and multiplicity of solutions for a class of one-dimensional nonlocal equations with fractional diffusion and nonlinearity at exponential…
This paper contains construction and analysis a finite element approximation for convection dominated diffusion problems with full coefficient matrix on general simplicial partitions in $R^d$, $d=2,3$. This construction is quite close to…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
In this paper, we study numerical methods for the solution of partial differential equations on evolving surfaces. The evolving hypersurface in $\Bbb{R}^d$ defines a $d$-dimensional space-time manifold in the space-time continuum…
The advection-diffusion and wave equations are the fundamental equations governing any physical law and therefore arise in many areas of physics and astrophysics. For complex problems and geometries, only numerical simulations can give…